You need to file an FIR with your local police and then produce the FIR copy to your phone company. The FIR will be required by your phone company. They will then block your number, if you want, give you a new SIM with that same number.

Reliance Smart GSM connection — Blocking of lost sim

Dear sir,
On 11.06.09 i have lost my Reliance Smart GSM sim. For that i request in customer care for blocking my sim as anybody can, t misuse it. The Customer care representative take my complain and give me the docket no for the same. The docket no is 06093231632. They assured that the sim will be blocked within 24 hrs. But still today they have done nothing. Already 120 hrs have gone.
I shall be much obliuged if you do the needful from your end.
Thanking You
Manoj Kr Das